本研究主要探討台灣電子、金融、營建類股股價指數之連動性及受到系統性因素、產業面因素的影響,進而了解金融市場的效率性及各產業類股的特性。本研究亦可作為經濟分析與投資之參考。本研究使用1999:M3-2017:M8 的月資料,採用單根檢定、共整合檢定、向量誤差修正模型 (VECM)、向量自我迴歸 (VAR) 模型、Granger因果關係檢定、衝擊反應分析和變異數分解進行實證分析。 實證分析結果顯示,電子類股指數不受各解釋變數影響,金融類股指數均受到自身前兩期顯著負向影響,以及營建類股指數、五大銀行放款利率與五大銀行新承做放款顯著正向影響。營建類股指數則受到電子類股指數與自身前一期顯著正向影響;Granger因果關係檢定結果顯示,沒有任何解釋變數領先電子類股指數,而營建類股指數、五大銀行放款利率領先金融類股指數、電子類股指數領先營建類股指數。
This paper researched systematic, industrial effect and interaction between electronic, financial and construction stock exchange sector index in Taiwan. We can learn more about efficiency of financial market and features of sector stock price index. Empirical results of this paper can also be used to do economic analysis and investment decision-making. This research used monthly data ranging from March 1999 to August 2017. This paper used unit root test, cointegration test, vector autoregression model, vector error correction model, Granger causality test, impulse response function and variance decomposition to do empirical study. Empirical results showed that electronic sector index isn’t influenced by any explanatory variable. Financial sector index is negatively influenced by lag2 of itself and positively influenced by lag1 of construction sector index, lending rate of five major banks and new loan of five major banks. Construction sector index is positively influenced by lag1 of itself and electronic stock. Based on results of Granger causality test, all the explanatory variables don’t have leading electronic sector index, while construction sector index and lending rate of five major banks have leading effect financial sector index. Electronic sector index has leading effect on construction sector index.